Chapter 73 Nonparametric identification

Handbook of Econometrics

Volumn 6, Issue SUPPL. PART B, 2007, Pages 5307-5368

  Matzkin, Rosa L ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

identification; nonadditive models; nonparametric models; nonseparable models; simultaneous equations

Indexed keywords

EID: 66049099745     PISSN: 15734412     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1573-4412(07)06073-4     Document Type: Review

References (134)

1. Abbring J.H., and van den Berg G.J. The nonparametric identification of treatment effects in duration models. Econometrica 71 (2003) 1491-1517
2. Abrevaya J.A. Rank estimation of a generalized fixed-effects regression model. Journal of Econometrics 95 (2000) 1-23
3. Ai C. A semiparametric maximum likelihood estimator. Econometrica 65 (1997) 933-963
4. Ai C., and Chen X. Efficient estimation of models with conditional moments restrictions containing unknown functions. Econometrica 71 (2003) 1795-1843
5. Aigner D.J., Hsiao C., Kapteyn A., and Wansbeek T. Latent variable models in econometrics. In: Griliches Z., and Intriligator M.D. (Eds). Handbook of Econometrics vol. 2 (1984), North-Holland, Amsterdam
6. Altonji, J.G., Ichimura, H. (2000). "Estimating derivatives in nonseparable models with limited dependent variables". Mimeo. Revision of 1996 working paper
7. Altonji, J.G., Matzkin, R.L. (2001). "Panel data estimators for nonseparable models with endogenous regressors". NBER Working Paper T0267. Revision of 1997 working paper
8. Altonji J.G., and Matzkin R.L. Cross section and panel data estimators for nonseparable models with endogenous regressors. Econometrica 73 3 (2005) 1053-1102
9. Anderson T.W., and Rubin H. Statistical inference in factor analysis. In: Neyman J. (Ed). Proceedings of Third Berkeley Symposium on Mathematical Statistics and Probability, vol. 5 (1956), University of California Press 111-150
10. Barros, R., Honoré, B. (1988). "Identification of duration models with unobserved heterogeneity". Working paper. Northwestern University
11. Benkard, C.L., Berry, S. (2004). "On the nonparametric identification of nonlinear simultaneous equations models: Comment on B. Brown (1983) and Roehrig (1988)". Cowles Foundation Discussion Paper #1482
12. Blundell, R., Matzkin, R.L. (2007). "Conditions for the existence of control functions in nonseparable simultaneous equations models". Mimeo. Northwestern University
13. Blundell R., and Powell J.L. Endogeneity in nonparametric and semiparametric regression models. In: Dewatripont M., Hansen L.P., and Turnovsky S.J. (Eds). Advances in Economics and Econometrics, Theory and Applications, Eighth World Congress, vol. II (2003), Cambridge Univ. Press, Cambridge, UK
14. Bonhomme, S., Robin, J.-M. (2006). "Using high-order moments to estimate linear independent factor models". Mimeo, UCL
15. Bowden R. The theory of parametric identification. Econometrica 41 (1973) 1069-1074
16. Brown B.W. The identification problem in systems nonlinear in the variables. Econometrica 51 (1983) 175-196
17. Brown, D.J., Calsamiglia, C. (2004). The strong law of demand. CFDP # 1399, Yale University
18. Brown, D.J., Matzkin, R.L. (1998). "Estimation of nonparametric functions in simultaneous equations models, with an application to consumer demand". Cowles Foundation Discussion Paper #1175
19. Card D. Estimating the return to schooling: Progress on some persistent econometric problems. Econometrica 69 (2001) 1127-1160
20. Carneiro, P., Hansen, K.T., Heckman, J.J. (2003). "Estimating distributions of counterfactuals with an application to the returns to schooling and measurement of the effects of uncertainty on college choice". International Economic Review
21. Chamberlain G. Education, income, and ability revisited. Journal of Econometrics 5 2 (1977) 241-257
22. Chamberlain G. An instrumental variable interpretation of identification in variance components and MIMIC models. In: Taubman P. (Ed). Kinometrics: Determinants of Socio-Economic Success Within and Between Families (1977), North-Holland, Amsterdam
23. Chamberlain G., and Griliches Z. Unobservables with a variance-component structure: Ability, schooling, and the economic success of brothers. International Economic Review 16 2 (1975) 422-449
24. Chaudhuri P. Nonparametric estimation of regression quantiles and their local Badahur representation. Annals of Statistics 19 (1991) 760-777
25. Chaudhuri P., Doksum K., and Samarov A. On average derivatives quantile regression. Annals of Statistics 25 (1997) 715-744
26. Chen X. Large sample sieve estimation of semi-nonparametric models. In: Heckman J.J., and Leamer E. (Eds). Handbook of Econometrics vol. 6B (2007), Elsevier (Chapter 76)
27. Chernozhukov V., and Hansen C. An IV model of quantile treatment effects. Econometrica 73 (2005) 245-261
28. Chernozhukov V., Imbens G., and Newey W. Instrumental variable estimation of nonseparable models. Journal of Econometrics 139 1 (2007) 4-14
29. Chesher A. Identification in nonseparable models. Econometrica 71 5 (2003)
30. Chesher, A. (2005). "Identification with excess heterogeneity". Mimeo. CEMMAP
31. Chesher A. Identification of nonadditive structural functions. In: Blundell R., Newey W.K., and Persson T. (Eds). Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Vol. III (2007), Cambridge University Press, New York
32. Cosslett S.R. Distribution-free maximum likelihood estimator of the binary choice model. Econometrica 51 3 (1983) 765-782
33. Cunha, F., Heckman, J.J., Matzkin, R.L. (2004). "Identification of factors in nonadditive models". Mimeo
34. Darolles, S., Florens, J.P., Renault, E. (2000). "Nonparametric instrumental regression". Mimeo. IDEI, Toulouse
35. Das, M. (2001). "Monotone comparative statics and estimation of behavioral parameters". Mimeo. Columbia University
36. Das M. Instrumental variables estimators of nonparametric models with discrete endogenous regressors. Journal of Econometrics 124 (2004) 335-361
37. Elbers C., and Ridder G. True and spurious duration dependence: The identificability of the proportional Hazard model. Review of Economic Studies 49 (1982) 403-409
38. Fan Y., and Li Q. Consistent model specification tests: Omitted variables and semiparametric functional forms. Econometrica 64 4 (1996)
39. Fisher F.M. Generalization of the rank and order conditions for identifiability. Econometrica 27 3 (1959) 431-447
40. Fisher F.M. Identifiability criteria in nonlinear systems. Econometrica 29 (1961) 574-590
41. Fisher F.M. Identifiability criteria in nonlinear systems: A further note. Econometrica 33 (1965) 197-205
42. Fisher F.M. The Identification Problem in Econometrics (1966), McGraw-Hill, New York
43. Florens J.P. Inverse problems and structural econometrics: The example of instrumental variables. In: Dewatripont M., Hansen L.P., and Turnovsky S. (Eds). Advances in Economics and Econometrics, Theory and Applications, vol. II (2003), Cambridge Univ. Press, Cambridge
44. Frisch, R.A.K. (1934). "Statistical confluence analysis by means of complete regression systems". Publication No. 5. Universitets Okonomiske Institutt, Oslo
45. Frisch, R.A.K. (1938). "Statistical versus theoretical relations in economic macrodynamics". Memorandum prepared for a conference in Cambridge, England, July 18-20, 1938, to discuss drafts of Tinbergen's League of Nations publications
46. Gale D., and Nikaido H. The Jacobian matrix and global univalence of mappings. Math. Annalen 159 (1965) 81-93
47. Gallant A.R., and Nychka D.W. Seminonparametric maximum likelihood estimation. Econometrica 55 (1987) 363-390
48. Goldberger A.S. Structural equation methods in the social sciences. Econometrica 40 (1972) 979-1001
49. Haavelmo T. The statistical implications of a system of simultaneous equations. Econometrica 11 1 (1943) 1-12
50. Haavelmo T. The probability approach in econometrics. Econometrica 12 Suppl. (1944) (July)
51. Hall P., and Horowitz J.L. Nonparametric methods for inference in the presence of instrumental variables. Annals of Statistics 33 (2005) 2904-2929
52. Han A.K. Nonparametric analysis of a generalized regression model: The maximum rank correlation estimation. Journal of Econometrics 35 (1987) 303-316
53. Härdle W. Applied Nonparametric Regression (1991), Cambridge Univ. Press, Cambridge
54. Härdle W., and Linton O. Applied nonparametric methods. In: Engel R.F., and McFadden D.F. (Eds). Handbook of Econometrics vol. 4 (1994), Elsevier, Amsterdam (Chapter 38)
55. Hausman J.A. Specification and estimation of simultaneous equation models. In: Griliches Z., and Intriligator M.D. (Eds). Handbook of Econometrics vol. I (1983)
56. Hausman J.A., and Taylor W.E. Identification in linear simultaneous equations models with covariance restrictions: An instrumental variables interpretation. Econometrica 51 5 (1983) 1527-1550
57. Heckman J.J. Shadow prices, market wages, and labor supply. Econometrica 42 (1974) 679-693
58. Heckman J.J. Identifying the hand of past: Distinguishing state dependence from heterogeneity. Papers and Proceedings of the Hundred and Third Annual Meeting of the American Economic Association. American Economic Review 81 2 (1991) 75-79
59. Heckman J.J., and Robb R. Alternative methods for evaluating the impact of interventions. In: Heckman J.J., and Singer B. (Eds). Longitudinal Analysis of Labor Market Data. Econometric Society Monograph vol. 10 (1985), Cambridge Univ. Press, Cambridge, UK
60. Heckman J.J., and Singer B. The identifiability of the proportional hazard model. Review of Economic Studies 51 (1984) 231-243
61. Heckman J.J., and Singer B. A method of minimizing the impact of distributional assumptions in econometric models for duration data. Econometrica 52 (1984) 271-320
62. Heckman J.J., and Vytlacil E.J. Local instrumental variables and latent variable models for identifying and bounding treatment effects. Proceedings of the National Academy of Science 96 (1999)
63. Heckman, J.J., Vytlacil, E.J. (2000). "Structural equations, treatment effects and econometric policy evaluation". Mimeo. University of Chicago
64. Heckman, J.J., Willis, R. (1977). "A beta-logistic model for the analysis of sequential labor force participation by married women". Journal of Political Economy
65. Hong Y., and White H. Consistent specification testing via nonparametric series regression. Econometrica 63 5 (1995) 1133-1159
66. Honoré B.E. Simple estimation of a duration model with unobserved heterogeneity. Econometrica 58 (1990) 453-473
67. Horowitz J.L. A smoothed maximum score estimator for the binary response model. Econometrica 60 (1992) 505-531
68. Horowitz J.L. Semiparametric estimation of a regression model with an unknown transformation of the dependent variable. Econometrica 64 (1996) 103-137
69. Horowitz J.L. Semiparametric Methods in Econometrics (1998), Springer-Verlag, New York
70. Horowitz, J.L. (1999). "Semiparametric estimation of a proportional hazard model with unobserved heterogeneity". Econometrica
71. Horowitz, J.L. (2001). "Nonparametric estimation of a generalized additive model with an unknown link function". Econometrica
72. Horowitz J.L., and Härdle W. Direct semiparametric estimation of single index models with discrete covariates. Journal of the American Statistical Association 91 (1996) 1632-1640
73. Hsiao C. Identification. In: Griliches Z., and Intriligator M.D. (Eds). Handbook of Econometrics vol. 1 (1983), North-Holland Publishing Company
74. Hurwicz L. Generalization of the concept of identification. Statistical Inference in Dynamic Economic Models. Cowles Commission Monograph vol. 10 (1950), John Wiley, New York
75. Ichimura H. Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. Journal of Econometrics 58 (1993) 71-120
76. Ichimura H., and Lee L.-F. Semiparametric least squares estimation of multiple index models: Single equation estimation. In: Barnett W.A., Powell J., and Tauchen G. (Eds). Nonparametric and Semiparametric Methods in Econometrics and Statistics (1991), Cambridge Univ. Press, Cambridge (Chapter 1)
77. Imbens, G.W., Newey, W.K. (2003). "Identification and estimation of triangular simultaneous equations models without additivity". Mimeo. MIT
78. Jöreskog K.G., and Goldberger A.S. Factor analysis by generalized least squares. Psychometrika 37 (1972) 243-265
79. Klein R.W., and Spady R.H. An efficient semiparametric estimator for binary response models. Econometrica 61 (1993) 387-421
80. Koenker R.W. Quantile Regression. Econometric Society Monograph Series (2005), Cambridge Univ. Press, Cambridge
81. Koopmans T.C. Identification problems in economic model construction. Econometrica 17 2 (1949) 125-144
82. Koopmans T.C., and Reiersol O. The identification of structural characteristics. Annals of Mathematical Statistics 21 (1950) 165-181
83. Koopmans T.C., Rubin A., and Leipnik R.B. Measuring the equation system of dynamic economics. Statistical Inference in Dynamic Equilibrium Models. Cowles Commission Monograph vol. 10 (1950), John Wiley, New York
84. Kotlarski I. On characterizing the Gamma and normal distribution. Pacific Journal of Mathematics 20 (1967) 69-76
85. Lancaster T. Econometric methods for the analysis of unemployment. Econometrica 47 (1979) 939-956
86. Lancaster T. The Econometrics of Transition Data. Econometric Society Monograph vol. 17 (1990), Cambridge Univ. Press
87. Lewbel A. Semiparametric qualitative response model estimation with unknown heteroskedasticity and instrumental variables. Journal of Econometrics 97 (2000) 145-177
88. Lewbel A., and Linton O.B. Nonparametric matching and efficient estimators of homothetically separable functions. Econometrica 75 4 (2007) 1209-1227
89. Linton O.B., and Nielsen J.P. A kernel method of estimating structured nonparametric regression based on marginal integration. Biometrika 82 (1995) 93-100
90. Ma L., and Koenker R.W. Quantile regression methods for recursive structural equation models. Journal of Econometrics 134 2 (2006) 471-506
91. Manski C.F. Maximum score estimation of the stochastic utility model of choice. Journal of Econometrics 3 (1975) 205-228
92. Manski C.F. Closest empirical distribution estimation. Econometrica 51 2 (1983) 305-320
93. Manski C.F. Semiparametric analysis of discrete response: Asymptotic properties of the maximum score estimator. Journal of Econometrics 27 (1985) 313-334
94. Matzkin R.L. Semiparametric estimation of monotone and concave utility functions for polychotomous choice models. Econometrica 59 (1991) 1315-1327
95. Matzkin R.L. A nonparametric maximum rank correlation estimator. In: Barnett W., Powell J., and Tauchen G. (Eds). Nonparametric and Semiparametric Methods in Econometrics and Statistics (1991), Cambridge Univ. Press, Cambridge
96. Matzkin R.L. Nonparametric and distribution-free estimation of the binary threshold crossing and the binary choice models. Econometrica 60 (1992) 239-270
97. Matzkin R.L. Nonparametric identification and estimation of polychotomous choice models. Journal of Econometrics 58 (1993) 137-168
98. Matzkin R.L. Restrictions of economic theory in nonparametric methods. In: Engel R.F., and McFadden D.L. (Eds). Handbook of Econometrics vol. IV (1994), Elsevier, Amsterdam (Chapter 42)
99. Matzkin, R.L. (1999). "Nonparametric estimation of nonadditive random functions". Mimeo. Northwestern University
100. Matzkin R.L. Nonparametric estimation of nonadditive random functions. Econometrica 71 (2003) 1339-1375
101. Matzkin, R.L. (2004). "Unobservable instruments". Mimeo, Northwestern University
102. Matzkin R.L. Identification of consumers' preferences when individuals' choices are unobservable. Economic Theory 26 2 (2005) 423-443
103. Matzkin, R.L. (2005b). "Identification in nonparametric simultaneous equations models". Mimeo. Northwestern University
104. Matzkin R.L. Heterogenous choice. In: Blundell R., Newey W.K., and Persson T. (Eds). Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Vol. III (2007), Cambridge University Press, New York
105. Matzkin, R.L. (2007b). "Estimation of nonparametric simultaneous equations models". Mimeo. Northwestern University
106. Matzkin, R.L. (2007c). "Identification in nonparametric simultaneous equations models". Mimeo. Northwestern University. Revision of 2005 working paper
107. Matzkin, R.L., Newey, W.K. (1993). "Kernel estimation of nonparametric limited dependent variable models". Working paper. Northwestern University
108. McFadden D. Conditional logit analysis of qualitative choice behavior. In: Zarembka P. (Ed). Frontiers in Econometrics (1974), Academic Press, New York 105-142
109. Ng, S., Pinkse, J. (1995). "Nonparametric-two-step estimation of unknown regression functions when the regressors and the regression error are not independent". Cahiers de recherche 9551. Universite de Montreal, Departement de sciences economiques
110. Newey W.K. Flexible simulated moment estimation of nonlinear error-in-variables models. Review of Economics and Statistics 83 (2001) 616-627
111. Newey, W., Powell, J. (1989). "Instrumental variables estimation of nonparametric models". Mimeo
112. Newey, W. Powell, J. (2003). "Instrumental variables estimation of nonparametric models". Econometrica
113. Newey W.K., Powell J.L., and Vella F. Nonparametric estimation of triangular simultaneous equations models. Econometrica 67 (1999) 565-603
114. Olley G.S., and Pakes A. The dynamics of productivity in the telecommunications equipment industry. Econometrica 64 6 (1996) 1263-1297
115. Pagan A., and Ullah A. Nonparametric Econometrics (1999), Cambridge Univ. Press, Cambridge, UK
116. Pearl J. Causality: Models, Reasoning, and Inference (2000), Cambridge Univ. Press, New York
117. Pinkse J. Nonparametric two-step regression estimation when regressors and errors are dependent. Canadian Journal of Statistics 28 2 (2000) 289-300
118. Powell J.L. Estimation of semiparametric models. In: Engel R.F., and McFadden D.L. (Eds). Handbook of Econometrics vol. IV (1994), Elsevier, Amsterdam (Chapter 41)
119. Powell J.L., Stock J.H., and Stoker T.M. Semiparametric estimation of index coefficients. Econometrica 51 (1989) 1403-1430
120. Prakasa-Rao B.L.S. Nonparametric Functional Estimation (1983), Academic Press
121. Ridder G. The nonparametric identification of generalized accelerated failure-time models. Review of Economic Studies 57 (1990) 167-182
122. Roehrig C.S. Conditions for identification in nonparametric and parametric models. Econometrica 56 2 (1988) 433-447
123. Rothenberg T.J. Identification in parametric models. Econometrica 39 (1971) 577-592
124. Schennach S. Instrumental variable estimation of nonlinear errors-in-variables model. Econometrica 75 1 (2007) 201-239
125. Stoker T.M. Consistent estimation of scaled coefficients. Econometrica 54 (1986) 1461-1481
126. Tinbergen J. Bestimmung und Deutung von Angebotskurven: Ein Beispiel. Zeitschrift für Nationalökonomie 70 (1930) 331-342
127. van den Berg G. Duration models: Specification, identification, and multiple durations. In: Heckman J., and Leamer E. (Eds). Handbook of Econometrics vol. 5 (2001)
128. Vytlacil, E., Yildiz, N. (2004). "Dummy endogenous variables in weakly separable models". Mimeo. Department of Economics, Stanford University
129. Wald A. Note on identification of economic relations. Statistical Inference in Dynamic Economic Models. Cowles Commission Monograph vol. 10 (1950), John Wiley, New York
130. Wegge L.L. Identifiability criteria for a system of equations as a whole. The Australian Journal of Statistics 7 (1965) 67-77
131. Wooldridge J.M. A test for functional form against nonparametric alternatives. Econometric Theory 8 (1992) 452-475
132. Working E.J. What do statistical 'demand curves' show?. Quarterly Journal of Economics 41 (1927) 212-235
133. Working H. The statistical determination of demand curves. Quarterly Journal of Economics 39 (1925) 503-543
134. Yatchew A. Semiparametric Regression for the Applied Econometrician (2003), Cambridge Univ. Press, Cambridge, UK